Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0011
Annualized Std Dev 0.1619
Annualized Sharpe (Rf=0%) 0.0067

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1500
Quartile 1 -0.0034
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0040
Maximum 0.2233
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0102
Skewness 0.4260
Kurtosis 70.9876

Downside Risk

Close
Semi Deviation 0.0074
Gain Deviation 0.0081
Loss Deviation 0.0091
Downside Deviation (MAR=210%) 0.0122
Downside Deviation (Rf=0%) 0.0074
Downside Deviation (0%) 0.0074
Maximum Drawdown 0.5691
Historical VaR (95%) -0.0128
Historical ES (95%) -0.0242
Modified VaR (95%) -0.0008
Modified ES (95%) -0.0008
From Trough To Depth Length To Trough Recovery
2006-03-24 2008-10-10 2012-06-06 -0.5691 1563 643 920
2016-07-11 2020-03-18 NA -0.4401 1183 929 NA
2012-11-29 2013-12-16 2016-07-08 -0.2661 908 264 644
1999-02-08 2000-03-16 2003-05-08 -0.2586 1068 280 788
2004-03-18 2004-05-10 2005-02-08 -0.1645 226 37 189

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.4 0 0 0 -0.5 0 0 0.5 0.5 -0.5 1.6 1.7 2.9
2000 1.1 0.6 1.7 1.1 0.6 1.1 0 -0.5 0.5 0 0 0 6.3
2001 0.6 0.3 0.8 0.2 0.8 -0.2 -0.1 0.4 1.3 0.4 0.4 1.3 6.5
2002 0.1 -0.1 0.2 -0.3 0.8 0.7 1.3 0.7 -0.1 -0.3 0.6 1.1 4.8
2003 0.1 0.4 -0.1 0.1 0.1 0 0.7 0.3 -0.5 0.3 0.1 0.3 1.7
2004 -0.2 0.5 0.5 0.7 -0.5 0.8 0.6 0.1 -0.2 -0.4 0.2 0.9 2.9
2005 0.2 -0.2 1.7 0 0.5 -0.4 0 0.6 0.6 -0.1 -0.6 -0.6 1.8
2006 -0.6 0.4 -0.6 -0.7 -0.1 0.1 1 -0.1 -0.3 0.3 -0.2 0.6 -0.1
2007 0.4 0 0.1 0.2 -0.1 0.1 -0.8 0.7 0.1 -0.8 0.2 0.1 0.1
2008 0.9 -2 0.1 0.4 0 0.6 0.1 0.5 5.4 -4.4 -2.9 -1 -2.6
2009 -1.6 0.3 0.2 2.3 0.3 -0.5 0.3 0 0 -0.4 -0.8 -0.1 0
2010 0.9 0.4 0.4 0.6 0.3 0.3 -0.3 0.2 0.3 0.1 -1.4 2.8 4.6
2011 0.5 0 0.4 0.4 0.8 0.1 1 0.9 -0.6 0.5 0.1 0 4.2
2012 0.9 1 -0.4 0.1 -0.1 0.4 -0.3 0.6 0.2 -1.3 0.1 0.4 1.7
2013 0 0.4 0.8 -0.2 -2.6 0.8 -0.6 -0.9 0.2 -1.6 0.4 0.2 -3.1
2014 0.6 0.3 -0.3 0.8 -0.2 -0.4 -0.3 -0.3 -0.3 -0.1 0.1 0.1 0.1
2015 0.7 0.4 -0.4 -0.2 0.1 -0.1 0.1 0.7 0.6 0.8 0.1 -0.1 2.5
2016 -0.5 -0.1 0.1 0.2 1.1 1 0.2 0 0.2 -0.1 -1.7 0.3 0.7
2017 -0.1 -0.5 -0.4 0.3 0.4 -0.3 0.5 0.1 0.2 0 0.3 0.7 1.3
2018 -0.3 0.4 0.1 0 0.1 -0.1 -0.1 0.1 -0.5 0.5 0.7 -0.5 0.2
2019 0.8 0.2 -0.3 0.3 0.3 -0.4 1.4 0.1 0.7 -0.1 0.3 0.4 3.8
2020 0.1 -2.7 -3.3 0.4 0.5 -0.1 0.1 1.1 0.6 0.3 -0.7 1 -2.7
2021 -0.8 0.8 -0.4 NA NA NA NA NA NA NA NA NA -0.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  14.4 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  14.4 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  14.4 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  14.3 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  14.3 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  14.2 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart